[RUNGSI]

Well I dont know if this info will help you or you already know this.
First, XP firewall by default is disabled. so unless you turned it on, thats not it. (yes XP firewall will prevent)
Now, if you have more then 1 computer running and networked, first you will have to go into networking and look at your IP address that the router is giving that computer.
default will be to your first computer is 192.168.1.100
so you need to goto your DMZ and change it from 192.168.1.0 to 192.168.1.100 or whichever your comps IP is.